Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.1285
Annualized Std Dev 0.1945
Annualized Sharpe (Rf=0%) -0.6607

Row

Daily Return Statistics

Close
Observations 3711.0000
NAs 1.0000
Minimum -0.1113
Quartile 1 -0.0055
Median -0.0007
Arithmetic Mean -0.0005
Geometric Mean -0.0005
Quartile 3 0.0038
Maximum 0.1266
SE Mean 0.0002
LCL Mean (0.95) -0.0009
UCL Mean (0.95) -0.0001
Variance 0.0002
Stdev 0.0123
Skewness 0.0285
Kurtosis 15.5496

Downside Risk

Close
Semi Deviation 0.0085
Gain Deviation 0.0101
Loss Deviation 0.0092
Downside Deviation (MAR=210%) 0.0138
Downside Deviation (Rf=0%) 0.0087
Downside Deviation (0%) 0.0087
Maximum Drawdown 0.9013
Historical VaR (95%) -0.0165
Historical ES (95%) -0.0282
Modified VaR (95%) -0.0167
Modified ES (95%) -0.0167
From Trough To Depth Length To Trough Recovery
2008-11-21 2021-03-17 NA -0.9013 3102 3099 NA
2006-07-18 2007-10-09 2008-09-17 -0.2199 547 310 237
2008-10-28 2008-11-04 2008-11-20 -0.1643 18 6 12
2008-10-13 2008-10-13 2008-10-24 -0.1029 10 1 9
2008-09-18 2008-09-19 2008-10-03 -0.0687 12 2 10

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA -0.2 0.8 -0.6 0.4 0.4 0.3 0.2 1.3
2007 -0.4 0.3 0.1 -0.6 -0.2 0 -1.2 -0.7 -1.2 2.6 -0.7 1 -1.2
2008 -1.3 1.8 -3 -1.4 0 -0.2 0.6 1.4 0.3 -0.6 7.6 -1.3 3.7
2009 1.8 1.4 -2.2 -0.6 -2 -0.4 -0.2 2.1 2.1 2.5 -1.1 1.1 4.2
2010 -1.2 -0.8 -0.7 1.5 1 0.5 0 -2.6 -0.4 0 -2.2 -0.1 -5.2
2011 -1.2 1.5 -0.5 -0.7 2.2 -1.4 0.1 1 2 2.4 0 0.5 6.1
2012 -0.6 -0.4 -0.6 -0.5 2.2 -2.2 0.3 -0.8 -0.5 -1 0 -1.4 -5.3
2013 -1 -0.3 0 0.9 1.3 -0.5 -0.7 0.3 -0.4 -0.4 0 -0.5 -1.2
2014 0.9 -0.3 -0.4 0.1 -0.2 -0.8 0.5 -0.1 1.4 -1 0.3 0.8 1.3
2015 1.4 0.4 0.5 -1 -0.1 -0.9 0.3 2.8 0 0.6 -0.9 1 4.4
2016 0.1 -2.1 -0.6 0.4 0 -0.1 0.1 -0.1 -0.8 0.6 -0.4 0.3 -2.6
2017 -0.1 -1.3 0.2 0.1 -0.6 -0.2 -0.2 -0.2 -0.1 -0.3 0.1 0.3 -2.2
2018 0 1.6 -1.4 0.3 -0.9 -0.2 0.3 0.1 -0.8 -1 -0.7 -1.1 -3.7
2019 -0.2 -0.4 -1.3 0.7 1.4 -0.5 1 -0.1 1.3 -1 0.3 -0.1 1
2020 2.1 1.1 4.4 2.4 -0.4 0.1 -0.4 -1 -0.2 0.6 -0.6 -0.5 7.7
2021 -0.7 -1.9 0.8 NA NA NA NA NA NA NA NA NA -1.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2006-06-21  276. SPY    125.  0.0074   0.0122  -0.0089  -0.0412   0.0291    0.257   0.0247 GLD    58.3  0.018     0.0487
2 2006-06-22  278  SPY    124. -0.0044  -0.0132  -0.0057  -0.0434   0.0238    0.265   0.0214 GLD    57.7 -0.0103    0.0072
3 2006-06-23  279. SPY    124. -0.0002  -0.0017  -0.0137  -0.0443   0.0382    0.263   0.0262 GLD    58.0  0.0045    0.0054
4 2006-06-26  278. SPY    125.  0.0044   0.0107  -0.0215  -0.0387   0.0505    0.282   0.0263 GLD    58.3  0.005     0.0341
5 2006-06-27  281  SPY    124. -0.0086  -0.0015  -0.0348  -0.0411   0.0399    0.254   0.0121 GLD    57.7 -0.0103    0.0066
6 2006-06-28  280. SPY    125.  0.0068  -0.0021  -0.0107  -0.0406   0.0383    0.277   0.0075 GLD    57.5 -0.00240  -0.0135
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart